Say, for example, I book a flight from ZRH to PRG with a stopover in VIE (which is usually cheaper than the ZRH VIE segement alone and backs the assertion of the paper up nicely, but I digress).
The legal connection minimum time in VIE is 30 minutes and Austrian Airlines will happily sell me a ticket with 35 minutes time to connect.
If the ZRH VIE flight is delayed and I miss my connection it's their responsibilty to resolve the issue. Potentially putting me up into a hotel overnight and even compensating me for a delayed arrival. EU rules are pretty strict here.
If I book the segments seperately it's my responsibilty and if I miss the connection due to delays I'm shit out of luck and the airline has no obligation or responsibility towards me.
I realize that the UK train network is very different than the scenario described and I appreciate that big savings can be made by planning ahead. I just don't think that this necessarily applies for flight ticketing.
Note that I'm not argueing that big savings can't be made by hidden city - or nested booking strategies. But those come with another bundle of potential problems.